JHM Darbyshire

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icon location Stockholm, Sweden icon location IRSs and XCSs Trader (Swedbank, Nordea, Barclays). Author. Core dev team volunteer (Pandas).

Results 67 issues of JHM Darbyshire

ENH: create a JSON Serialiser

BUG: copying `Curve` should handle `id`

1 comment

bug
curves
on hold

ENH: `proxy_curves` JSON

1 comment

Consider allowing a `to_json` method for proxy curves to mediate string exchange of data. Or possibly, just configure a `to_json` method for an `FXForwards` object, from which the `ProxyCurve` can...

enhancement
low priority
fx
on hold

ENH: Flooring FRN coupon periods at zero under negative rates.

1 comment

Facilities to transfer coupon payments from the investor to the issuer do not practically exist, thus the requirement to add as an option (default) the flooring of FRN coupons at...

enhancement
securities
on hold

TST: Various observed test omissions

- [ ] test collateral is include in *ZeroLegs* - [ ] Some cases for DCF: actacticma_stub365f

low priority
tests

ENH: adding `Loan` instruments

low priority
securities

ENH: adding `Repo` instruments

low priority
securities

DOC: re-organise docs for `instruments`

- [x] IRS (+Swap aliased) - [ ] Link `spread` examples elsewhere - [x] SBS - [x] FRA - [ ] ZCS - [ ] XCS - [ ] FixedFloatXCS...

documentation

TST: add tests to ensure unpriced `Instruments` have correct delta

1 comment

Some instruments, such as `FRA`s do not seem to produce delta risk when they are not specified with a `fixed_rate`. `IRS`s on the other hand demonstrate the correct behaviour.

bug

BUG: correct ATM delta calculations